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The predictive brain hypothesis suggests that perception can be interpreted as the process of minimizing the error between predicted perception tokens generated by an internal world model and actual sensory input tokens. When implementing…
The sentiment analysis task in Tamil-English code-mixed texts has been explored using advanced transformer-based models. Challenges from grammatical inconsistencies, orthographic variations, and phonetic ambiguities have been addressed. The…
Cryptocurrency is a well-developed blockchain technology application that is currently a heated topic throughout the world. The public availability of transaction histories offers an opportunity to analyze and compare different…
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading systems. Our proposed architecture incorporates probabilistic…
In traditional quantitative trading practice, navigating the complicated and dynamic financial market presents a persistent challenge. Fully capturing various market variables, including long-term information, as well as essential signals…
Blockchain technology has changed how people think about how they used to store and trade their assets, as it introduced us to a whole new way to transact: using digital currencies. One of the major innovations of blockchain technology is…
Since Bitcoin first appeared on the scene in 2009, cryptocurrencies have become a worldwide phenomenon as important decentralized financial assets. Their decentralized nature, however, leads to notable volatility against traditional fiat…
To the naked eye, stock prices are considered chaotic, dynamic, and unpredictable. Indeed, it is one of the most difficult forecasting tasks that hundreds of millions of retail traders and professional traders around the world try to do…
We investigate the theoretical and empirical relationships between activity in on-chain markets and pricing in off-chain cryptocurrency markets (e.g., ETH/USD prices). The motivation is to develop methods for proxying off-chain market data…
Over the last decade, the cryptocurrency market has experienced unprecedented growth, emerging as a prominent financial market. As this market rapidly evolves, it necessitates re-evaluating which cryptocurrencies command the market and…
Accurate knowledge of the atomistic transition pathways in materials and material surfaces is crucial for many material science problems. However, conventional simulation techniques used to find these transitions are extremely…
In the complex landscape of traditional futures trading, where vast data and variables like real-time Limit Order Books (LOB) complicate price predictions, we introduce the FutureQuant Transformer model, leveraging attention mechanisms to…
In this paper, we propose the exponential Levy neural network (ELNN) for option pricing, which is a new non-parametric exponential Levy model using artificial neural networks (ANN). The ELNN fully integrates the ANNs with the exponential…
This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of…
A main focus in economics research is understanding the time series of prices of goods and assets. While statistical models using only the properties of the time series itself have been successful in many aspects, we expect to gain a better…
Unlike price fluctuations, the temporal structure of cryptocurrency trading has seldom been a subject of systematic study. In order to fill this gap, we analyse detrended correlations of the price returns, the average number of trades in…
This paper proposes a novel method for demand forecasting in a pricing context. Here, modeling the causal relationship between price as an input variable to demand is crucial because retailers aim to set prices in a (profit) optimal manner…
This paper measures price differences between Hegic option quotes on Arbitrum and a model-based benchmark built on Black--Scholes model with regime-sensitive volatility estimated via a two-regime MS-AR-(GJR)-GARCH model. Using option-level…
Non-Fungible Token (NFT) is evolving with the rise of the cryptocurrency market and the development of blockchain techniques, which leads to an emerging NFT market that has become prosperous rapidly then followed by a cooldown.…
Economy is severely dependent on the stock market. An uptrend usually corresponds to prosperity while a downtrend correlates to recession. Predicting the stock market has thus been a centre of research and experiment for a long time. Being…